Algorithm of recurrent estimation of parameters of autoregression of multidimensional linear dynamic system of the different order in the presence of the autocorrelated noises in output signals

I. Sandler

doi:10.12737/15983

ALGORITHM OF RECURRENT ESTIMATION OF PARAMETERS OF AUTOREGRESSION OF MULTIDIMENSIONAL LINEAR DYNAMIC SYSTEM OF THE DIFFERENT ORDER IN THE PRESENCE OF THE AUTOCORRELATED NOISES IN OUTPUT SIGNALS Algorithm of recurrent estimation of parameters of autoregression of multidimensional linear dynamic system of the different order in the presence of the autocorrelated noises in output signals

АА Аа

Published in Actual directions of scientific researches of the XXI century: theory and practice · Volume 3, Issue 5, p. 2 · Pages 112–116 · Rubric: Sekciya: «Effektivnye metody i instrumenty issledovaniya modeley sistem i mehanizmov»

DOI: https://doi.org/10.12737/15983

Received: 24.11.2015 Accepted: 24.11.2015 Published: 24.11.2015 Language of publication: RUS

Authors

I. Sandler

ABSTRACT

In article the recurrent algorithm of modeling of autoregression multidimensional on an entrance and an exit of a different order of linear dynamic systems in the presence of the autocorrelated noises in an output signal, on the basis of stochastic gradient algorithm is considered.

KEYWORDS

different order, recurrent estimation of parameters, autoregression, strongly well-founded estimates, linear dynamic system, autocorrelation, hindrances output signals.

Text

УДК 519.254

Алгоритм Рекуррентного оценивания параметров авторегрессии многомерной линейной динамической системы разного порядка при наличии автокоррелированной помехи в выходных сигналах

ALGORITHM OF RECURRENT ESTIMATION OF PARAMETERS OF AUTOREGRESSION OF MULTIDIMENSIONAL LINEAR DYNAMIC SYSTEM OF THE DIFFERENT ORDER IN THE PRESENCE OF THE AUTOCORRELATED NOISES IN OUTPUT SIGNALS

Сандлер И.Л., старший преподаватель

ФГБОУ ВПО «Самарский государственный университет путей сообщения» г.Самара, Россия

viruskvam@bk.ru

DOI: 10.12737/15983

Аннотация: В статье рассматривается рекуррентный алгоритм моделирования авторегрессии многомерных по входу и выходу разного порядка линейных динамических систем при наличии автокоррелированной помехи в выходном сигнале, на основе стохастически градиентного алгоритма.

Summary: In article the recurrent algorithm of modeling of autoregression multidimensional on an entrance and an exit of a different order of linear dynamic systems in the presence of the autocorrelated noises in an output signal, on the basis of stochastic gradient algorithm is considered.

Ключевые слова: разный порядок, рекуррентное оценивание параметров, авторегрессия, сильно состоятельные оценки, линейная динамическая система, автокорреляция, помехи выходных сигналах.

Keywords: different order, recurrent estimation of parameters, autoregression, strongly well-founded estimates, linear dynamic system, autocorrelation, hindrances output signals.

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Igor Shanin

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This work is licensed under Creative Commons Attribution 4.0 International Creative Commons

GOST

Sandler I. Algorithm of recurrent estimation of parameters of autoregression of multidimensional linear dynamic system of the different order in the presence of the autocorrelated noises in output signals // Actual directions of scientific researches of the XXI century: theory and practice. 2015. no. 5. pp. 112-116. DOI: https://doi.org/10.12737/15983. (Date of access 20.10.2026).

MLA

I. Sandler. "Algorithm of recurrent estimation of parameters of autoregression of multidimensional linear dynamic system of the different order in the presence of the autocorrelated noises in output signals." Actual directions of scientific researches of the XXI century: theory and practice 3.5 (2015): 112-116. DOI: https://doi.org/10.12737/15983.

APA

Sandler I. (2015). Algorithm of recurrent estimation of parameters of autoregression of multidimensional linear dynamic system of the different order in the presence of the autocorrelated noises in output signals. Actual directions of scientific researches of the XXI century: theory and practice, 3(5), 112-116. https://doi.org/10.12737/15983

Chicago

I. Sandler. "Algorithm of recurrent estimation of parameters of autoregression of multidimensional linear dynamic system of the different order in the presence of the autocorrelated noises in output signals." Actual directions of scientific researches of the XXI century: theory and practice 3, no. 5 (2015): 112-116. https://doi.org/10.12737/15983.

WIKI

{{cite journal | author = Sandler I. | title = Algorithm of recurrent estimation of parameters of autoregression of multidimensional linear dynamic system of the different order in the presence of the autocorrelated noises in output signals | journal = Actual directions of scientific researches of the XXI century: theory and practice | year = 2015 | volume = 3 | issue = 5 | pages = 112-116 | doi = 10.12737/15983 }}

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